Simulation of Real‐Valued Discrete‐Time Periodically Correlated Gaussian Processes with Prescribed Spectral Density Matrices

A. R. Soltani and M. Azimmohseni

Journal of Time Series Analysis, 2007, vol. 28, issue 2, 225-240

Abstract: Abstract. In this article, we provide a spectral characterization for a real‐valued discrete‐time periodically correlated process, and then proceed on to establish a simulation procedure to simulate such a Gaussian process for a given spectral density. We also prove that the simulated process, at each time index, converges to the actual process in the mean square.

Date: 2007
References: View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
https://doi.org/10.1111/j.1467-9892.2006.00507.x

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:28:y:2007:i:2:p:225-240

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0143-9782

Access Statistics for this article

Journal of Time Series Analysis is currently edited by M.B. Priestley

More articles in Journal of Time Series Analysis from Wiley Blackwell
Bibliographic data for series maintained by Wiley Content Delivery ().